Methods and Apparatus to Calculate and Present Transaction Adjusted Values

ABSTRACT

Methods and apparatus to calculate and display transaction adjusted values are disclosed. An example method includes defining an order related to a tradeable object listed on an electronic exchange, wherein the order is associated with a user; determining whether the user qualifies for a pricing incentive that rewards trading activity meeting a threshold; when the user qualifies for the pricing incentive, calculating a transaction adjusted value of the order at respective ones of a plurality of price levels of a trading interface, wherein the pricing incentive is factored into the calculation of the transaction adjusted value for a first one of the price levels, and the pricing incentive is not factored into the calculation of the transaction adjusted value of a second one of the price levels; and displaying ones of the transaction adjusted values in a value axis of the trading interface in connection with respective ones of the plurality of price levels.

CROSS REFERENCE TO RELATED APPLICATIONS

This application is a continuation of U.S. patent application Ser. No.14/579,883, filed on Dec. 22, 2014, the entire contents of which areincorporated herein by reference for all purposes.

BACKGROUND

An electronic trading system generally includes a trading device incommunication with an electronic exchange. The trading device receivesinformation about a market, such as prices and quantities, from theelectronic exchange. The electronic exchange receives messages, such asmessages related to orders, from the trading device. The electronicexchange attempts to match quantity of an order with quantity of one ormore contra-side orders.

The electronic exchange typically charges fees for facilitating theorders. The exchange fees and other cost affect a total or overall costof the order.

BRIEF DESCRIPTION OF THE FIGURES

Certain embodiments are disclosed with reference to the followingdrawings.

FIG. 1 illustrates a block diagram representative of an exampleelectronic trading system in which certain embodiments may be employed.

FIG. 2 illustrates a block diagram of another example electronic tradingsystem in which certain embodiments may be employed.

FIG. 3 illustrates a block diagram of an example computing device whichmay be used to implement the disclosed embodiments.

FIGS. 4A to 4E illustrate block diagrams representative of exampletrading interfaces in which certain embodiments may be employed.

FIG. 5 is a flowchart representative of example machine readableinstructions that may be executed to implement disclosed embodiments.

FIG. 6 is a flowchart representative of example machine readableinstructions that may be executed to implement disclosed embodiments.

FIGS. 7A-7D illustrate block diagrams representative of example tradinginterfaces in which certain embodiments may be employed.

FIG. 8 is a block diagram representative of an example transactionadjusted value module that can implement the example machine readableinstructions of FIGS. 5 and/or 6.

Certain embodiments will be better understood when read in conjunctionwith the provided figures, which illustrate examples. It should beunderstood, however, that the embodiments are not limited to thearrangements and instrumentality shown in the attached figures.

DETAILED DESCRIPTION

The disclosed embodiments related to trading strategies and, moreparticularly, to methods and apparatus to calculate and presenttransaction adjusted values.

Some exchanges penalize trading activity that is deemed non-productiveor costly to the overall marketplace. For example, orders that areplaced and then quickly cancelled add no value to the market anddetrimentally consume resources, such as bandwidth or computing cycles.When such low quality trading activity is present in the market, theexchange is hindered in efforts to provide a desirable tradingenvironment and to meet user needs and/or expectations. With a goal ofridding the market of such activity, exchanges impose penalties onactivity that crowds and confuses the market, such as excessive quotingorders with near immediate cancellations.

Examples disclosed herein recognize that while penalties likelydiscourage low quality activity, exchanges further benefit from highquality activity. Put another way, while a reduction of non-productivetrading activity (for example, by way of penalties) decreasesproblematic circumstances such as rapid order cancellations, penaltiesdo not enhance the marketplace beyond a baseline of ordinary,non-harmful trading activity. Examples disclosed herein enhance themarket provided by the exchange by incentivizing users to engage in highquality trading activity, such as placement of orders that tend toincrease the depth of the market. To incentivize high quality tradingactivity, examples disclosed herein reward users engaged in such tradingactivity via pricing incentives such as, for example, reduced fee(s),rebate(s), and/or other types of rewards that reduce a price of atransaction(s). Examples of high quality trading activity include, forexample, activity having a high transaction-to-fill ratio, orders thatremain in the market for durations greater than a threshold amount oftime, orders placed on the inside market (as opposed to off marketorders), orders placed in less liquid markets, and/or any other activitythat enhances the market provided by the exchange. In some examplesdisclosed herein, rewarding high quality trading activity is performedin addition to penalizing detrimental trading activity. Alternatively,the pricing incentives disclosed herein are provided without penalizingdetrimental trading activity.

Costs associated with utilizing an electronic exchange (for example,co-location fees, transmission costs for different types of media, suchas fiber, microwave, etc.) factor into a value or effective price of atransaction. Put another way, an actual value or price of a transactionincludes the cost of the tradeable object(s) itself as well as the costsof executing the transaction. The total price of executing an order(including transactional costs and the cost of the underlying products)may be referred to as a transaction adjusted value. Disclosed examplesprovide calculations and presentations of the transaction adjusted valueassociated with a specified order ready to be submitted to the exchangebut not yet submitted (for example, all information has been inputtedbut a BUY/SELL button has not been selected). Further, examplesdisclosed herein use the incentives disclosed herein (and/or penaltiesimposed by the exchange) to generate a transaction adjusted value forparticular orders with the rewards (and/or penalties) factored into thetransaction. In some examples, the transaction adjusted value disclosedherein reflects reduction(s) (if any) to the transactional cost of theorder stemming from high quality trading activity. In some examples, thetransaction adjusted value disclosed herein reflects increase(s) (ifany) to the transactional cost of the order stemming from low qualitytrading activity. In some examples, the transaction adjusted valuedisclosed herein reflects a combination of reduction(s) to thetransactional cost of the order stemming from high quality tradingactivity and increase(s) to the transactional cost of the order stemmingfrom low quality trading activity. Thus, examples disclosed hereindetermine a benefit and/or a degree of the benefit earned by placinghigh quality orders.

When combined with the example pricing incentives disclosed herein, thecalculation and presentation of the transaction adjusted value of theorder is especially beneficial. When a user is visually exposed to thepotential reduced transaction adjusted value of an order (for example,due to pricing incentives), the user is further encouraged to undertakethe proposed high quality activity on which the pricing incentive(s) isbased. For example, disclosed embodiments include a value axis displayedon a trading interface and including the improvement in the transactionadjusted value provided by the pricing incentives disclosed herein. Thevalue axis of disclosed examples can be adjusted to operate in multiplemodes, such as a first mode that displays transaction costs common tothe trades in the market and a second mode that displays user specificcosts (including the cash equivalent of incentives and/ordisincentives).

Although this description discloses embodiments including, among othercomponents, software executed on hardware, it should be noted that theembodiments are merely illustrative and should not be considered aslimiting. For example, it is contemplated that any or all of thesehardware and software components may be embodied exclusively inhardware, exclusively in software, exclusively in firmware, or in anycombination of hardware, software, and/or firmware. Accordingly, certainembodiments may be implemented in other ways.

I. Brief Description of Certain Embodiments

An example disclosed method includes defining an order related to atradeable object listed on an electronic exchange, wherein the order isassociated with a user. The example disclosed method further includesdetermining whether the user qualifies for a pricing incentive thatrewards trading activity meeting a threshold. The example disclosedmethod further includes, when the user qualifies for the pricingincentive, calculating a transaction adjusted value of the order atrespective ones of a plurality of price levels of a trading interface,wherein the pricing incentive is factored into the calculation of thetransaction adjusted value for a first one of the price levels, and thepricing incentive is not factored into the calculation of thetransaction adjusted value of a second one of the price levels. Theexample disclosed method further includes displaying ones of thetransaction adjusted values in a value axis of the trading interface inconnection with respective ones of the plurality of price levels.

An example disclosed tangible computer readable medium includesinstructions that, when executed, cause a machine to define an orderrelated to a tradeable object listed on an electronic exchange, whereinthe order is associated with a user. The instructions of the exampledisclosed tangible computer readable further cause the machine todetermine whether the user qualifies for a pricing incentive thatrewards trading activity meeting a threshold. The instructions of theexample disclosed tangible computer readable further cause the machineto, when the user qualifies for the pricing incentive, calculate atransaction adjusted value of the order at respective ones of aplurality of price levels of a trading interface, wherein the pricingincentive is factored into the calculation of the transaction adjustedvalue for a first one of the price levels, and the pricing incentive isnot factored into the calculation of the transaction adjusted value of asecond one of the price levels. The instructions of the exampledisclosed tangible computer readable further cause the machine todisplay ones of the transaction adjusted values in a value axis of thetrading interface in connection with respective ones of the plurality ofprice levels.

A disclosed example apparatus includes a gathering module to obtain dataindicative of a quality of trading activity in which a user is engagedover a period of time. The disclosed example apparatus further includesa plurality of thresholds to be compared to the obtained data todetermine whether the user qualifies for a pricing incentive. Thedisclosed example apparatus further includes a reward applicator to,when the user qualifies for the pricing incentive, calculate atransaction adjusted value of an order at respective ones of a pluralityof price levels of a trading interface, wherein the pricing incentive isfactored into the calculation of the transaction adjusted value for afirst one of the price levels, and the pricing incentive is not factoredinto the calculation of the transaction adjusted value of a second oneof the price levels. The disclosed example apparatus further includes adisplay module to incorporate ones of the transaction adjusted values ina value axis of the trading interface in connection with respective onesof the plurality of price levels.

II. Example Electronic Trading System

FIG. 1 illustrates a block diagram representative of an exampleelectronic trading system 100 in which certain embodiments may beemployed. The system 100 includes a trading device 110, a gateway 120,and an exchange 130. The trading device 110 is in communication with thegateway 120. The gateway 120 is in communication with the exchange 130.As used herein, the phrase “in communication with” encompasses directcommunication and/or indirect communication through one or moreintermediary components. The exemplary electronic trading system 100depicted in FIG. 1 may be in communication with additional components,subsystems, and elements to provide additional functionality andcapabilities without departing from the teaching and disclosure providedherein.

In operation, the trading device 110 may receive market data from theexchange 130 through the gateway 120. A user may utilize the tradingdevice 110 to monitor this market data and/or base a decision to send anorder message to buy or sell one or more tradeable objects to theexchange 130.

Market data may include data about a market for a tradeable object. Forexample, market data may include the inside market, market depth, lasttraded price (“LTP”), a last traded quantity (“LTQ”), or a combinationthereof. The inside market refers to the highest available bid price(best bid) and the lowest available ask price (best ask or best offer)in the market for the tradeable object at a particular point in time(since the inside market may vary over time). Market depth refers toquantities available at price levels including the inside market andaway from the inside market. Market depth may have “gaps” due to priceswith no quantity based on orders in the market.

The price levels associated with the inside market and market depth canbe provided as value levels which can encompass prices as well asderived and/or calculated representations of value. For example, valuelevels may be displayed as net change from an opening price. As anotherexample, value levels may be provided as a value calculated from pricesin two other markets. In another example, value levels may includeconsolidated price levels.

A tradeable object is anything which may be traded. For example, acertain quantity of the tradeable object may be bought or sold for aparticular price. A tradeable object may include, for example, financialproducts, stocks, options, bonds, future contracts, currency, warrants,funds derivatives, securities, commodities, swaps, interest rateproducts, index-based products, traded events, goods, or a combinationthereof. A tradeable object may include a product listed and/oradministered by an exchange, a product defined by the user, acombination of real or synthetic products, or a combination thereof.There may be a synthetic tradeable object that corresponds and/or issimilar to a real tradeable object.

An order message is a message that includes a trade order. A trade ordermay be, for example, a command to place an order to buy or sell atradeable object; a command to initiate managing orders according to adefined trading strategy; a command to change, modify, or cancel anorder; an instruction to an electronic exchange relating to an order; ora combination thereof.

The trading device 110 may include one or more electronic computingplatforms. For example, the trading device 110 may include a desktopcomputer, hand-held device, laptop, server, a portable computing device,a trading terminal, an embedded trading system, a workstation, analgorithmic trading system such as a “black box” or “grey box” system,cluster of computers, or a combination thereof. As another example, thetrading device 110 may include a single or multi-core processor incommunication with a memory or other storage medium configured toaccessibly store one or more computer programs, applications, libraries,computer readable instructions, and the like, for execution by theprocessor.

As used herein, the phrases “configured to” and “adapted to” encompassthat an element, structure, or device has been modified, arranged,changed, or varied to perform a specific function or for a specificpurpose.

By way of example, the trading device 110 may be implemented as apersonal computer running a copy of X_TRADER®, an electronic tradingplatform provided by Trading Technologies International, Inc. ofChicago, Ill. (“Trading Technologies”). As another example, the tradingdevice 110 may be a server running a trading application providingautomated trading tools such as ADL®, AUTOSPREADER®, and/or AUTOTRADER™,also provided by Trading Technologies. In yet another example, thetrading device 110 may include a trading terminal in communication witha server, where collectively the trading terminal and the server are thetrading device 110.

The trading device 110 is generally owned, operated, controlled,programmed, configured, or otherwise used by a user. As used herein, thephrase “user” may include, but is not limited to, a human (for example,a trader), trading group (for example, a group of traders), or anelectronic trading device (for example, an algorithmic trading system).One or more users may be involved in the ownership, operation, control,programming, configuration, or other use, for example.

The trading device 110 may include one or more trading applications. Asused herein, a trading application is an application that facilitates orimproves electronic trading. A trading application provides one or moreelectronic trading tools. For example, a trading application stored by atrading device may be executed to arrange and display market data in oneor more trading windows. In another example, a trading application mayinclude an automated spread trading application providing spread tradingtools. In yet another example, a trading application may include analgorithmic trading application that automatically processes analgorithm and performs certain actions, such as placing an order,modifying an existing order, deleting an order. In yet another example,a trading application may provide one or more trading screens. A tradingscreen may provide one or more trading tools that allow interaction withone or more markets. For example, a trading tool may allow a user toobtain and view market data, set order entry parameters, submit ordermessages to an exchange, deploy trading algorithms, and/or monitorpositions while implementing various trading strategies. The electronictrading tools provided by the trading application may always beavailable or may be available only in certain configurations oroperating modes of the trading application.

A trading application may be implemented utilizing computer readableinstructions that are stored in a computer readable medium andexecutable by a processor. A computer readable medium may includevarious types of volatile and non-volatile storage media, including, forexample, random access memory, read-only memory, programmable read-onlymemory, electrically programmable read-only memory, electricallyerasable read-only memory, flash memory, any combination thereof, or anyother tangible data storage device. As used herein, the termnon-transitory or tangible computer readable medium is expressly definedto include any type of computer readable storage media and to excludepropagating signals.

One or more components or modules of a trading application may be loadedinto the computer readable medium of the trading device 110 from anothercomputer readable medium. For example, the trading application (orupdates to the trading application) may be stored by a manufacturer,developer, or publisher on one or more CDs or DVDs, which are thenloaded onto the trading device 110 or to a server from which the tradingdevice 110 retrieves the trading application. As another example, thetrading device 110 may receive the trading application (or updates tothe trading application) from a server, for example, via the Internet oran internal network. The trading device 110 may receive the tradingapplication or updates when requested by the trading device 110 (forexample, “pull distribution”) and/or un-requested by the trading device110 (for example, “push distribution”).

The trading device 110 may be adapted to send order messages. Forexample, the order messages may be sent to through the gateway 120 tothe exchange 130. As another example, the trading device 110 may beadapted to send order messages to a simulated exchange in a simulationenvironment which does not effectuate real-world trades.

The order messages may be sent at the request of a user. For example, atrader may utilize the trading device 110 to send an order message ormanually input one or more parameters for a trade order (for example, anorder price and/or quantity). As another example, an automated tradingtool provided by a trading application may calculate one or moreparameters for a trade order and automatically send the order message.In some instances, an automated trading tool may prepare the ordermessage to be sent but not actually send it without confirmation from auser.

An order message may be sent in one or more data packets or through ashared memory system. For example, an order message may be sent from thetrading device 110 to the exchange 130 through the gateway 120. Thetrading device 110 may communicate with the gateway 120 using a localarea network, a wide area network, a wireless network, a virtual privatenetwork, a cellular network, a peer-to-peer network, a T1 line, a T3line, an integrated services digital network (“ISDN”) line, apoint-of-presence, the Internet, a shared memory system and/or aproprietary network such as TTNET™ provided by Trading Technologies, forexample.

The gateway 120 may include one or more electronic computing platforms.For example, the gateway 120 may be implemented as one or more desktopcomputer, hand-held device, laptop, server, a portable computing device,a trading terminal, an embedded trading system, workstation with asingle or multi-core processor, an algorithmic trading system such as a“black box” or “grey box” system, cluster of computers, or anycombination thereof.

The gateway 120 may facilitate communication. For example, the gateway120 may perform protocol translation for data communicated between thetrading device 110 and the exchange 130. The gateway 120 may process anorder message received from the trading device 110 into a data formatunderstood by the exchange 130, for example. Similarly, the gateway 120may transform market data in an exchange-specific format received fromthe exchange 130 into a format understood by the trading device 110, forexample.

The gateway 120 may include a trading application, similar to thetrading applications discussed above, that facilitates or improveselectronic trading. For example, the gateway 120 may include a tradingapplication that tracks orders from the trading device 110 and updatesthe status of the order based on fill confirmations received from theexchange 130. As another example, the gateway 120 may include a tradingapplication that coalesces market data from the exchange 130 andprovides it to the trading device 110. In yet another example, thegateway 120 may include a trading application that provides riskprocessing, calculates implieds, handles order processing, handlesmarket data processing, or a combination thereof.

In certain embodiments, the gateway 120 communicates with the exchange130 using a local area network, a wide area network, a wireless network,a virtual private network, a cellular network, a peer-to-peer network, aT1 line, a T3 line, an ISDN line, a point-of-presence, the Internet, ashared memory system, and/or a proprietary network such as TTNET™provided by Trading Technologies, for example.

The exchange 130 may be owned, operated, controlled, or used by anexchange entity. Example exchange entities include the CME Group, theLondon International Financial Futures and Options Exchange, theIntercontinental Exchange, and Eurex. The exchange 130 may include anelectronic matching system, such as a computer, server, or othercomputing device, which is adapted to allow tradeable objects, forexample, offered for trading by the exchange, to be bought and sold. Theexchange 130 may include separate entities, some of which list and/oradminister tradeable objects and others which receive and match orders,for example. The exchange 130 may include an electronic communicationnetwork (“ECN”), for example.

The exchange 130 may be an electronic exchange. The exchange 130 isadapted to receive order messages and match contra-side trade orders tobuy and sell tradeable objects. Unmatched trade orders may be listed fortrading by the exchange 130. Once an order to buy or sell a tradeableobject is received and confirmed by the exchange, the order isconsidered to be a working order until it is filled or cancelled. Ifonly a portion of the quantity of the order is matched, then thepartially filled order remains a working order. The trade orders mayinclude trade orders received from the trading device 110 or otherdevices in communication with the exchange 130, for example. Forexample, typically the exchange 130 will be in communication with avariety of other trading devices (which may be similar to trading device110) which also provide trade orders to be matched.

The exchange 130 is adapted to provide market data. Market data may beprovided in one or more messages or data packets or through a sharedmemory system. For example, the exchange 130 may publish a data feed tosubscribing devices, such as the trading device 110 or gateway 120. Thedata feed may include market data.

The system 100 may include additional, different, or fewer components.For example, the system 100 may include multiple trading devices,gateways, and/or exchanges. In another example, the system 100 mayinclude other communication devices, such as middleware, firewalls,hubs, switches, routers, servers, exchange-specific communicationequipment, modems, security managers, and/or encryption/decryptiondevices.

III. Expanded Example Electronic Trading System

FIG. 2 illustrates a block diagram of another example electronic tradingsystem 200 in which certain embodiments may be employed. In thisexample, a trading device 210 may utilize one or more communicationnetworks to communicate with a gateway 220 and exchange 230. Forexample, the trading device 210 utilizes network 202 to communicate withthe gateway 220, and the gateway 220, in turn, utilizes the networks 204and 206 to communicate with the exchange 230. As used herein, a networkfacilitates or enables communication between computing devices such asthe trading device 210, the gateway 220, and the exchange 230.

The following discussion generally focuses on the trading device 210,gateway 220, and the exchange 230. However, the trading device 210 mayalso be connected to and communicate with “n” additional gateways(individually identified as gateways 220 a-220 n, which may be similarto gateway 220) and “n” additional exchanges (individually identified asexchanges 230 a-230 n, which may be similar to exchange 230) by way ofthe network 202 (or other similar networks). Additional networks(individually identified as networks 204 a-204 n and 206 a-206 n, whichmay be similar to networks 204 and 206, respectively) may be utilizedfor communications between the additional gateways and exchanges. Thecommunication between the trading device 210 and each of the additionalexchanges 230 a-230 n need not be the same as the communication betweenthe trading device 210 and exchange 230. Generally, each exchange hasits own preferred techniques and/or formats for communicating with atrading device, a gateway, the user, or another exchange. It should beunderstood that there is not necessarily a one-to-one mapping betweengateways 220 a-220 n and exchanges 230 a-230 n. For example, aparticular gateway may be in communication with more than one exchange.As another example, more than one gateway may be in communication withthe same exchange. Such an arrangement may, for example, allow one ormore trading devices 210 to trade at more than one exchange (and/orprovide redundant connections to multiple exchanges).

Additional trading devices 210 a-210 n, which may be similar to tradingdevice 210, may be connected to one or more of the gateways 220 a-220 nand exchanges 230 a-230 n. For example, the trading device 210 a maycommunicate with the exchange 230 a via the gateway 220 a and thenetworks 202 a, 204 a and 206 a. In another example, the trading device210 b may be in direct communication with exchange 230 a. In anotherexample, trading device 210 c may be in communication with the gateway220 n via an intermediate device 208 such as a proxy, remote host, orWAN router.

The trading device 210, which may be similar to the trading device 110in FIG. 1, includes a server 212 in communication with a tradingterminal 214. The server 212 may be located geographically closer to thegateway 220 than the trading terminal 214 in order to reduce latency. Inoperation, the trading terminal 214 may provide a trading screen to auser and communicate commands to the server 212 for further processing.For example, a trading algorithm may be deployed to the server 212 forexecution based on market data. The server 212 may execute the tradingalgorithm without further input from the user. In another example, theserver 212 may include a trading application providing automated tradingtools and communicate back to the trading terminal 214. The tradingdevice 210 may include additional, different, or fewer components.

In operation, the network 202 may be a multicast network configured toallow the trading device 210 to communicate with the gateway 220. Dataon the network 202 may be logically separated by subject such as, forexample, by prices, orders, or fills. As a result, the server 212 andtrading terminal 214 can subscribe to and receive data such as, forexample, data relating to prices, orders, or fills, depending on theirindividual needs.

The gateway 220, which may be similar to the gateway 120 of FIG. 1, mayinclude a price server 222, order server 224, and fill server 226. Thegateway 220 may include additional, different, or fewer components. Theprice server 222 may process price data. Price data includes datarelated to a market for one or more tradeable objects. The order server224 processes order data. Order data is data related to a user's tradeorders. For example, order data may include order messages, confirmationmessages, or other types of messages. The fill server collects andprovides fill data. Fill data includes data relating to one or morefills of trade orders. For example, the fill server 226 may provide arecord of trade orders, which have been routed through the order server224, that have and have not been filled. The servers 222, 224, and 226may run on the same machine or separate machines. There may be more thanone instance of the price server 222, the order server 224, and/or thefill server 226 for gateway 220. In certain embodiments, the additionalgateways 220 a-220 n may each includes instances of the servers 222,224, and 226 (individually identified as servers 222 a-222 n, 224 a-224n, and 226 a-226 n).

The gateway 220 may communicate with the exchange 230 using one or morecommunication networks. For example, as shown in FIG. 2, there may betwo communication networks connecting the gateway 220 and the exchange230. The network 204 may be used to communicate market data to the priceserver 222. In some instances, the exchange 230 may include this data ina data feed that is published to subscribing devices. The network 206may be used to communicate order data to the order server 224 and thefill server 226. The network 206 may also be used to communicate orderdata from the order server 224 to the exchange 230.

The exchange 230, which may be similar to the exchange 130 of FIG. 1,includes an order book 232 and a matching engine 234. The exchange 230may include additional, different, or fewer components. The order book232 is a database that includes data relating to unmatched trade ordersthat have been submitted to the exchange 230. For example, the orderbook 232 may include data relating to a market for a tradeable object,such as the inside market, market depth at various price levels, thelast traded price, and the last traded quantity. The matching engine 234may match contra-side bids and offers pending in the order book 232. Forexample, the matching engine 234 may execute one or more matchingalgorithms that match contra-side bids and offers. A sell order iscontra-side to a buy order. Similarly, a buy order is contra-side to asell order. A matching algorithm may match contra-side bids and offersat the same price, for example. In certain embodiments, the additionalexchanges 230 a-230 n may each include order books and matching engines(individually identified as the order book 232 a-232 n and the matchingengine 234 a-234 n, which may be similar to the order book 232 and thematching engine 234, respectively). Different exchanges may usedifferent data structures and algorithms for tracking data related toorders and matching orders.

In operation, the exchange 230 may provide price data from the orderbook 232 to the price server 222 and order data and/or fill data fromthe matching engine 234 to the order server 224 and/or the fill server226. Servers 222, 224, 226 may process and communicate this data to thetrading device 210. The trading device 210, for example, using a tradingapplication, may process this data. For example, the data may bedisplayed to a user. In another example, the data may be utilized in atrading algorithm to determine whether a trade order should be submittedto the exchange 230. The trading device 210 may prepare and send anorder message to the exchange 230.

In certain embodiments, the gateway 220 is part of the trading device210. For example, the components of the gateway 220 may be part of thesame computing platform as the trading device 210. As another example,the functionality of the gateway 220 may be performed by components ofthe trading device 210. In certain embodiments, the gateway 220 is notpresent. Such an arrangement may occur when the trading device 210 doesnot need to utilize the gateway 220 to communicate with the exchange230, such as if the trading device 210 has been adapted to communicatedirectly with the exchange 230.

IV. Example Computing Device

FIG. 3 illustrates a block diagram of an example computing device 300which may be used to implement the disclosed embodiments. The tradingdevice 110 of FIG. 1 may include one or more computing devices 300, forexample. The gateway 120 of FIG. 1 may include one or more computingdevices 300, for example. The exchange 130 of FIG. 1 may include one ormore computing devices 300, for example.

The computing device 300 includes a communication network 310, aprocessor 312, a memory 314, an interface 316, an input device 318, andan output device 320. The computing device 300 may include additional,different, or fewer components. For example, multiple communicationnetworks, multiple processors, multiple memory, multiple interfaces,multiple input devices, multiple output devices, or any combinationthereof, may be provided. As another example, the computing device 300may not include an input device 318 or output device 320.

As shown in FIG. 3, the computing device 300 may include a processor 312coupled to a communication network 310. The communication network 310may include a communication bus, channel, electrical or optical network,circuit, switch, fabric, or other mechanism for communicating databetween components in the computing device 300. The communicationnetwork 310 may be communicatively coupled with and transfer databetween any of the components of the computing device 300.

The processor 312 may be any suitable processor, processing unit, ormicroprocessor. The processor 312 may include one or more generalprocessors, digital signal processors, application specific integratedcircuits, field programmable gate arrays, analog circuits, digitalcircuits, programmed processors, and/or combinations thereof, forexample. The processor 312 may be a single device or a combination ofdevices, such as one or more devices associated with a network ordistributed processing. Any processing strategy may be used, such asmulti-processing, multi-tasking, parallel processing, and/or remoteprocessing. Processing may be local or remote and may be moved from oneprocessor to another processor. In certain embodiments, the computingdevice 300 is a multi-processor system and, thus, may include one ormore additional processors which are communicatively coupled to thecommunication network 310.

The processor 312 may be operable to execute logic and other computerreadable instructions encoded in one or more tangible media, such as thememory 314. As used herein, logic encoded in one or more tangible mediaincludes instructions which may be executable by the processor 312 or adifferent processor. The logic may be stored as part of software,hardware, integrated circuits, firmware, and/or micro-code, for example.The logic may be received from an external communication device via acommunication network such as the network 340. The processor 312 mayexecute the logic to perform the functions, acts, or tasks illustratedin the figures or described herein.

The memory 314 may be one or more tangible media, such as computerreadable storage media, for example. Computer readable storage media mayinclude various types of volatile and non-volatile storage media,including, for example, random access memory, read-only memory,programmable read-only memory, electrically programmable read-onlymemory, electrically erasable read-only memory, flash memory, anycombination thereof, or any other tangible data storage device. As usedherein, the term non-transitory or tangible computer readable medium isexpressly defined to include any type of computer readable medium and toexclude propagating signals. The memory 314 may include any desired typeof mass storage device including hard disk drives, optical media,magnetic tape or disk, etc.

The memory 314 may include one or more memory devices. For example, thememory 314 may include local memory, a mass storage device, volatilememory, non-volatile memory, or a combination thereof. The memory 314may be adjacent to, part of, programmed with, networked with, and/orremote from processor 312, so the data stored in the memory 314 may beretrieved and processed by the processor 312, for example. The memory314 may store instructions which are executable by the processor 312.The instructions may be executed to perform one or more of the acts orfunctions described herein or shown in the figures.

The memory 314 may store a trading application 330. In certainembodiments, the trading application 330 may be accessed from or storedin different locations. The processor 312 may access the tradingapplication 330 stored in the memory 314 and execute computer-readableinstructions included in the trading application 330.

In certain embodiments, during an installation process, the tradingapplication may be transferred from the input device 318 and/or thenetwork 340 to the memory 314. When the computing device 300 is runningor preparing to run the trading application 330, the processor 312 mayretrieve the instructions from the memory 314 via the communicationnetwork 310.

V. Trading Interface

FIG. 4A illustrates an example trading interface 400 in which certainembodiments may be employed. The example trading interface 400 showsmarket data for a tradeable object at a first point in time. While thefollowing examples are described in conjunction with the exampleelectronic trading system 200 of FIG. 2, the examples disclosed hereinmay be implemented in other electronic trading systems, such as theexample trading system 100 of FIG. 1.

As described above in conjunction with FIG. 2, the trading device 210receives market data related to one or more tradeable objects from theexchange 230 and/or the exchanges 230 a-230 n through the gateway 220and/or the gateways 220 a-220 n, respectively. The trading device 210provides a trading application including trading tools to process and/ororganize the market data and provide the example trading interface 400.Trading tools include, for example, MD TRADER®, X_TRADER®, ADL®,AUTOSPREADER®, and AUTOTRADER™, each provided by Trading Technologies.The trading device 210 provides the trading interface 400 to enable auser to view market data and communicate trade orders and trade actionswith an electronic exchange.

In the illustrated example of FIG. 4A, the trading interface 400includes a bid column 402, a value column 404, and an ask column 406.The trading interface 400 further includes a working order (W/O) column408 and a last traded quantity (LTQ)/last traded price (LTP) column 410.The trading interface 400 may include other columns such as an estimatedposition in queue (EPIQ) column, a single combined bid/ask column, auser-defined indicator column, an inside market indicator column, and/orany other column for providing indicators. The trading interface 400also includes rows such as row 412. The columns intersect with the rowsto define cells such as cell 414. In other embodiments, differentorientations other than vertical columns may be used (e.g., horizontaland diagonal arrangements).

In the illustrated example, bid indicators representing the bidquantities of the tradeable object are displayed in the bid column 402,value indicators corresponding to value levels are displayed in thevalue column 404, and ask indicators representing the ask quantities ofthe tradeable object are displayed in the ask column 406. A bid quantityis a quantity available on the bid side of the tradeable object at agiven value level. The value levels can be configured to representprices, net change, derivatives of price, consolidated prices, synthetictradeable object pricing, spread pricing, and/or other representationsof value. The ask quantity is a quantity available on the ask side ofthe tradeable object at a given value level. The indicators are notlimited to numerical values and can include any type or combination ofindicator or symbol to illustrate the presence of available quantitywithout providing a specific numeric value. For example, the indicatorsmay include text, icons, colors, lines, and/or other graphicalrepresentations. In one example, the indicators may represent a range ofquantity available at particular value levels in place of specific, andfrequently changing, quantity values. In another example, the relativesize of indicators may proportionally represent the quantity available.In another example, the indicators may represent simply that there isquantity available with no illustration of the amount in excess of zero.

Trading interfaces, such as the trading interface 400, may includeindicators to identify the inside market. The inside market indicatorsmay utilize multiple representations to identify the highest bid priceand the lowest ask price. The inside markets indicators may also includeadditional information such as information related to quantities at theinside market. Examples of inside market indicators include a best bidprice indicator representing the highest available bid price, a best askprice indicator representing the lowest available ask price, and/or anindicator representing a range between the highest available bid priceand the lowest available ask price. As shown in FIG. 4B, the insidemarket indicator may highlight and identify the range 458 of valuelevels between the highest available bid price of “96450” and the lowestavailable ask price of “96525”. Inside market indicators may bedisplayed within the trading interface to identify specific valuelevel(s) in the value column 404. For example, a best bid priceindicator may be displayed in a cell containing a bid quantity indicatorand corresponding to a value level that reflects the best bid price. Asanother example, a best ask price indicator may be a color or symbolcombined with an ask quantity indicator in the ask column 406 in a cellcorresponding to a value level that reflects the best ask price. Asanother example, inside market indicators may be displayed at valuelevels within the value column 404 that reflect the best bid price andthe best ask price. The inside market indicators can include any type orcombination of indicator or symbol (e.g., the indicators may includetext, icons, colors, lines, and/or other graphical representations).

In certain embodiments, the inside market indicators may be provided bythe presence of a quantity indicator. The presence of a quantityindicator refers to the existence and location of the quantityindicator. For example, the presence of the best bid quantity indicator,independent of the quantity value displayed at any given point in time,in the bid column may be the best bid price indicator. Thus, theexistence of a quantity indicator at the highest value level in the bidcolumn is the best bid price indicator. To be clear, in this example,the value of the bid quantity indicator is not part of the best bidprice indicator. Rather, the existence of the bid quantity indicatoritself at the highest value level in the bid column is the best bidprice indicator. In other words, the display of the highest bid quantityindicator is the best bid price indicator. As shown in FIG. 4A, thepresence of the bid quantity indicator “151” at the highest value levelin the bid column at the price of “96350” is the best bid priceindicator 460. Similarly, the presence of the ask quantity indicator“267” at the lowest value level in the ask column at the price of“96375” is the best ask price indicator 462.

From the user's perspective, the trading interface 400 may present anddisplay indicators, such as inside market and LTP/LTQ indicators, in amanner that conveys the appearance of movement relative to the valuecolumn 404. For example, the manner in which the trading interfacealters the position of the best bid price indicator and the best askprice indicator relative to the value levels within the value column mayallow the user to perceive changes in both the speed and direction oftrading within a market. The trading interface 400 updates based onreceived market data. For example, the trading interface 400 moves thebest bid price indicator 460 relative to the value column 404 when thereceived market data includes a quantity at a new highest bid price. Asanother example, the trading interface 400 moves a LTP indicator 464(shown in the LTQ column 410 of FIG. 4A) relative to the value column404 when the received market data includes a new last traded price.

The trading interface 400 shown in FIG. 4A depicts and identifies theinside market via the best bid price indicator 460 aligned with thehighest available bid price and the best ask price indicator 462 alignedwith the lowest available ask price at a first point in time. Forexample, the best bid price indicator 460 is moved to reflect the changein the best bid price from “96350” (FIG. 4A) to “96450” (FIG. 4B).Similarly, the best ask price indicator 462 is moved to reflect thechange in the best ask price from “96375” to “96525”. By observing themovement of the inside market indicators relative to the value column404 in the described manner, the user can quickly perceive that themarket is trading higher.

Moreover, as illustrated in the trading interface 400 shown in FIG. 4A,the bid quantity indicator “151” is at the best bid price “96350” andthe ask quantity indicator “267” is at the best ask price “96375”. Atthe second point in time, the displayed quantity indicators are updatedto reflect new quantities available. As shown in FIG. 4B, the bidquantity indicator “56” is at the best bid price “96450” and the askquantity indicator “41” is at the best ask price “96525”. Although thequantity values have changed, it is the presence of the bid quantityindicator at the highest value level in the bid column and the presenceof the ask quantity indicator at the lowest value level that are theinside market indicators.

From the user's perspective, indicators may appear to move relative tothe value column 404. This appearance of movement may result frompainting an indicator in a new location on the trading interface 400 orpainting over to remove an indicator from the trading interface 400.Painting may include drawing on a surface, multilayer compositing, orother rendering techniques. For example, in the bid column 402, paintinga new quantity indicator above the current best bid quantity indicatorcreates the appearance of upward movement to inform the user that themarket has moved. In another example, in the ask column 406, paintingover the best ask quantity indicator to remove it from the tradinginterface 400 results in the appearance of upward movement in themarket. As another example, other indicators such as the LTP indicator464 can appear to move relative to the value column 404 using thesetechniques.

The movement of the indicators relative to the value column 404 may beimplemented in a variety of ways. In certain embodiments, movement of anindicator includes repositioning the indicator from one location toanother location. For example, the best bid price indicator may be agraphical user interface element or object, such as a line, shape,arrow, or sprite, the on-screen position of which is changed to a newlocation representing a new best bid price. In certain embodiments,movement of an indicator includes removing the indicator at one locationand replacing it with a new indicator at another location, which as usermay perceive as the appearance of movement. For example, the best bidprice indicator may be a yellow background color for a cell in the valuecolumn 404. When the best bid price changes, the background color forthe cell is changed to default color (e.g., black) and the backgroundcolor of a second cell associated with the new best bid price is changedto yellow to provide the new best bid price indicator. In certainembodiments, the object representing the best bid price indicator maychange from one location to another location. For example, the value,color and/or shape of the best bid price indicator may change from onelocation to another location.

When quantity information is displayed in relation to the value column404 and the market moves up or down, the inside market indicators can besaid to “move” up or down from the user's perspective in relation to thevalue column 404 to reflect a new highest bid price or a new lowest askprice. For example, when the quantity indicators are represented withnumerical values and the inside market indicators are provided by thepresence of the highest bid quantity indicator and lowest ask quantityindicator, the exact numeric value representing the quantity at the bestbid price or the best ask price need not move or provide the appearanceof movement. The quantity indicators, in this particular example, atthose particular price levels may have changed, but they do not actuallymove—it is the best bid indicator that has “moved.”

The value indicators in the value column 404 may be repositioned. Aselected value indicator may be repositioned to a designated locationand other value indicators are repositioned relative to the selectedvalue indicator. The selected value indicator may be based on, forexample, a user selection or market related values such as the highestbid price or lowest ask price, LTP, and a calculated average of the bestbid and best ask prices. The designated location may be a pre-determinedlocation or a location defined by a user. In one configuration, inresponse to the repositioning command, the selected value indicator maybe moved to the designated location corresponding to the middle of thedisplay (e.g., to a location corresponding substantially to the midpointof the length of the value column 404). In another configuration, inresponse to the repositioning command, the selected value indicator canbe displayed at a user-identified or pre-defined position within thedisplay. From a user's perspective, repositioning is the appearance ofmovement of values in the value column 404 to new locations in the valuecolumn 404. This appearance of movement may result from repainting thevalues in the value column 404.

The value indicators in the value column 404 may be repositioned inresponse to various commands or triggering conditions. In one example,the value indicators displayed in the value column 404 may berepositioned in response to a triggering condition. Some examples of atriggering condition include: a user input; expiration of an alarm ortimer; a determination that the inside market is, or may be, moving offthe display; a determination that the inside market has exceeded anupper threshold or a lower threshold; an event in another tradinginterface; a market event relating to the same or a different tradeableobject; a user-defined event; and/or a determination that a valueexceeds a threshold.

In some examples, an indicator based on market data (such as best bid,best ask, LTP) may be displayed at the same fixed location in thetrading interface 400. For example, the best bid indicator in the bidcolumn 402 may be displayed at a specified fixed location. The fixedlocation may be pre-determined or defined by a user. For example, thebest bid indicator and/or the best ask indicator may, for example, bemaintained at the center of the display, at the top of the display, atthe bottom of the display or any designated location.

In the illustrated example, the values, which are prices, are displayedwithout decimal points (which may be a format or convention expected bya user) and in descending order from a top to a bottom of the valuecolumn 404 in the orientation of FIG. 4A. In other examples, the pricesare listed in other orders (e.g., ascending order from top to bottom)and/or formats (e.g., with decimal points, fractions, in scientificnotation, and/or any other format).

In the illustrated example, the indicators in the bid column 402 and theask column 406 are updated to indicate quantity changes at each valuelevel identified along the value column 404. For example, values of theask quantities and/or the bid quantities may increase or decrease due toorder quantities being added, deleted or matched at each value level.The indicators may be updated based on a timer and/or in response to newdata being received, for example.

In some examples, the trading interface 400 includes additional and/ordifferent information. In the illustrated example, the trading interface400 also displays a net price change 416 of the tradeable object over agiven amount of time (e.g., since the market opened on a given day). Thetrading interface 400 also includes a total volume 418 of the tradeableobject (e.g., a number of lots that have been traded). Other embodimentsmay include different and/or additional information.

The trading interface 400 also enables the user to specify parametersfor a trade order. In the illustrated example, the trading interface 400includes a quantity field 420. The quantity field 420 displays aquantity (e.g., 5) for an order that the user will send to market, andthe user may adjust the quantity by selecting (e.g., via a mouse) one ofa plurality of buttons 422 adjacent the quantity field 420 or entering anew value into the quantity field 420. If the user selects a button 424labeled “CLEAR” in the illustrated example, the quantity field 420 iscleared (e.g., the quantity displayed in the quantity field 420 isadjusted to be zero).

The trading interface 400 further enables the user to enter an order tobuy or sell a tradeable object via an order entry area configured toreceive a selection and in response initiate placement of the order.Selection of an order area may be by a single action of an input devicesuch as a single click, a double click, or a multi-touch gesture.Initiating placement of an order may include preparing a message to sendan order to an exchange or sending an order to an electronic exchange.The trading interface 400 may include multiple order entry areas. Thetrading interface 400 may request that a user confirm an order to beplaced prior to sending it.

Order entry areas may overlap or encompass one or more regions of atrading interface. For example, an order entry area may overlap all orpart of the cells making up a row. As another example, an order entryarea may overlap all or part of the cells in a column such as the bidcolumn, ask column or value column. In another example, an order entryarea may overlap a cell and a region outside of the cell. In certainembodiments, a trading interface may include a first order entry areaoverlapping first cell and a second order entry area overlapping asecond cell. In certain embodiments, a first order entry area overlaps afirst cell and a portion of a second cell, and a second order entry areaoverlaps a portion of the second cell and a third cell. In certainembodiments, order entry areas may encompass other regions of thetrading interface.

Each order entry area may align with a value level. For example, anorder entry area may be aligned with one of the value levels making upthe value column 404. In another example, an order entry area may beindependent of and not aligned with a value level.

An order entry area may be linked to other elements of the tradinginterface 400. For example, an order entry area may be linked to aparticular value level making up a value column by specifying a valuelevel followed by specifying an order entry area. Subsequently,selection of the linked order entry initiates placement of the orderbased on the linked value. As another example, selection of a cellassociated with a particular value level may link a pre-defined orderentry area to the particular value level.

Upon selection of an order entry area to initiate placement of an order,one or more parameters of the order may be determined based on theselected order entry area. Order parameters may include order price,order quantity, order side, and/or order type. Other order parametersmay be specified. Values for the parameters may be default values,preconfigured values, previously determined values, values set based onthe location of the selection within the order entry area, values setbased on the location of the order entry area, values set based on themethod of the selection (e.g., a left click, a right click, a keyboardentry and a double click).

The manner in which the selection of an order entry area is made mayaffect the type of order or the way in which placement of an order isinitiated. For example, selection within a row configured as an orderentry area may include correlating the position of the selection to aspecific cell or column arranged and aligned relative to the order entryarea. The type of single action provided via the input device mayfurther specify the selection. For example, if the user initiates asingle action corresponding to a right click within an order entry areaaligned with a portion of the row corresponding to a cell in the valuecolumn, then the selection may initiate placement of a buy order.Similarly, if the user initiates a single action corresponding to a leftclick over a portion of the row corresponding to a cell in the valuecolumn, then the selection may initiate placement of a sell order. Asanother example, selecting an order entry area encompassing the cells inthe bid column may initiate placement of a buy market order when theselection is a single point touch applied to a touch sensitive interfaceand a buy sweep order when the selection is a two point touch to thetouch sensitive interface.

FIGS. 4C to 4E illustrates examples of order entry area configurationsthat may be utilized to initiate placement of an order. FIG. 4Cillustrates one configuration of a trading interface (identified astrading interface 400B) including order entry areas overlapping eachcell making up a column. For example, selection of a particular orderentry area 426 in bid column 402 may initiate placement of an order tobuy a default quantity at the value level aligned with the selectedorder entry area. In operation, when the user selects an order entryarea 426 overlapping the cell containing the bid quantity “80” in theillustrated example, the trading device 210 sends an order to sell adefault quantity of 4 displayed in the quantity field 420 (see FIG. 4A)at a price of “96300”.

FIG. 4C further illustrates another configuration of the tradinginterface 400C including an order entry area overlapping an entirecolumn. For example, selection within a portion of the order entry area428 overlapping the ask column 406 initiates placement of an order tosell a default quantity at the value level corresponding to the selectedportion of the order entry area. In operation, when the user selectswithin the order entry area 428 at a location corresponding to the celldisplaying the ask quantity “69” in the illustrated example, the tradingdevice 210 sends an order to buy a default quantity of 5 displayed inthe quantity field 420 at a price of “96450”.

FIG. 4D illustrates another configuration of a trading interface(identified as trading interface 400D) including order entry areasoverlapping cells defined within one or more of the columns in the samerow. For example, an order entry area 430 may overlap a row 412containing cells within each of the columns 402 to 406. In operation,selection within any portion of the order entry area 430 overlapping therow 412 initiates placement of an order to either buy or sell a defaultquantity at a price of “96300”. Determination of the side (e.g., buy orsell) of the order may be based on the method of the selection (e.g., aleft click to initiate a buy order and a right click to initiate a sellorder) and/or the position at which the selection was made (e.g., withina portion of the order entry area overlapping the buy column 402, withina portion of the value column 404 closer to the ask column 406. Inanother example, a first order entry area 432 overlaps a first cell incolumn 402 and part of a second cell in column 404, and a second orderentry area 434 overlaps part of the second cell in column 404 and athird cell in column 406. In another example, individual order entryareas 436, 438 and 440 overlap aligned cells in each of the columns 402,404 and 406.

FIG. 4D further illustrates order entry areas overlapping other elementsof the trading interface 400D and aligned with the value levels of thevalue column. For example, an order entry area 442 encompasses multiple“Buy” elements 444 where each element 444 is aligned with a value levelof the value column 404. In operation, selection within the order entryarea 442 initiates placement of an order to buy a default quantity ofthe tradeable object. The order is at the price associated with thevalue level aligned with the element 444 at the location of theselection. In another example, order entry areas 446 overlay eachindividual “Sell” element 448, where each element 448 is aligned with avalue level of the value column 404. In operation, selection of an orderentry area 446 aligned with the cell in the value column 404 displayingthe price “96425” results in a sell order for a default quantity beingsent at the value level associated with the aligned cell.

FIG. 4E illustrates another configuration of a trading interface(identified as trading interface 400E) including order entry areasoverlapping elements not aligned with the value levels of the valuecolumn. For example, an order entry area 450 encompasses multiple “Buy”elements 452 a-452 c configured to display different pre-set quantitylevels and the currently selected price level. In operation, selectionof a value level corresponding to the cell displaying the price “96300”links the selected value level with the order entry area 450. Anotherselection of a portion of order entry area 450 overlaying the element452 b results in a buy order for a quantity of 5 being sent at thelinked price. Similarly, individualized order entry areas 454 overlaying“Sell” elements 456 may be selected to initiate placement of a sellorder at a pre-defined quantity associated with the correspondingelement 456 at the linked price.

VI. Incentivized Transaction Adjusted Values

FIGS. 5 and 6 are flowcharts representative of example operations thatcan be executed to implement the teachings of this disclosure inconnection with a trading strategy. FIGS. 7A-7D illustrate exampletrading interfaces associated with the example operations of FIGS. 5and/or 6. The example operations of FIGS. 5 and 6 and/or the exampletrading interfaces of FIGS. 7A-7D can be implemented by, for example,the trading application 330 stored on and executed by the exampletrading device 110 of FIG. 1 and/or the example trading device 210 ofFIG. 2. Additionally or alternatively, the example operations of FIGS. 5and 6 and/or the example trading interfaces of FIGS. 7A-7D can beimplemented by the example exchange 130 of FIG. 1 and/or the exampleexchange 230 of FIG. 2. While the example trading device 110 of FIG. 1is described as implementing the example operations of FIGS. 5 and 6 andthe example trading interfaces of FIGS. 7A-7D below, any suitable devicecan implement the example operations of FIGS. 5 and/or 6 and/or theexample trading interfaces of FIGS. 7A-7D.

The examples of FIGS. 5, 6, 7A-7D and 8 provide calculations andpresentations of incentivized transaction adjusted values. The examplesof FIGS. 5, 6, 7A-7D and 8 reward users engaged in high quality tradingactivity by, for example, providing one or more rewards in connectionwith one or more orders. In the illustrated examples, the incentivizingrewards include reduction(s) in fee(s) imposed by an exchange, such thatthe transactional cost(s) of a trade order are lessened. As thereduction in transactional cost affects the overall value of thecorresponding order, the examples of FIGS. 5, 6, 7A-7D and 8 determineand present the transaction adjusted value of an order (for example, anorder that has been placed or an order that is about to be placed).Accordingly, the exchange benefits from receiving more high qualityorders and the users benefit from the reduction fees and clearerunderstanding of the actual transactional costs of orders.

The example of FIG. 5 begins with a particular user being evaluated forpotential rewards disclosed herein (block 500). In the illustratedexample, the user is an individual and the trading activity of theindividual is analyzed. However, the example evaluation of FIG. 5 may beapplied to a group of individuals, such as users affiliated by way ofworking at a same company or firm. In such instances, individuals of thegroup may be further encouraged to engage in high quality tradingactivity, so as to be responsible for group-wide benefits. Additionallyor alternatively, the example evaluation of FIG. 5 may be applied to auser account, such as a brokerage account.

To begin the example evaluation of FIG. 5, data indicative of thetrading activity of the evaluated user are collected (block 502).Examples of the gathered data are described below. The gathered data ofFIG. 5 corresponds to one or more periods of time, such as the mostrecent month. Additionally or alternatively, the gathered information ofFIG. 5 corresponds to a number of orders, such as the most recent onethousand orders. Additionally or alternatively, the time period and/ornumber of order to be analyzed may depend on the type of orders beingplaced. That is, a first period of time may be used for a first type oforder and/or a first type of market, while a second period of timedifferent than the first period of time may be used for a second type oforder and/or a second type of market. Any suitable amount and/or type ofuser-specific data can be gathered to obtain an understanding of thetrading activity of the user.

In the example of FIG. 5, the gathered data includes atransaction-to-fill ratio associated with the user. In some examples,the components on which the transaction-to-fill ratio is gathered andthe example of FIG. 5 includes generating the transaction-to-fill ratiofor the user. In the illustrated example, the transaction-to-fill ratiorepresents an aggregation of orders (for example, quotes, deletions,cancellations, etc.) placed by the user divided by total number of fillsobtained by the user. A transaction-to-fill ratio near a value of one(1.0) indicates that the user is not generating much detrimental noise(for example, off market orders and/or orders that are quicklycancelled) in the marketplace. A high transaction-to-fill ratioindicates the user is submitting a large number of transactions whichare not being filled and the user may be cancelling a large number oforders relative to a number of orders which are filled. Thus, a userhaving a high transaction-to-fill consumes exchange and networkresources without adding any benefit to the marketplace. In the exampleof FIG. 5, a pricing incentive is provided for users meeting a thresholdtransaction-to-fill ratio (for example, a value near one (1.0)). Whenthe gathered data indicates that the user has a transaction-to-fillratio meeting the threshold (block 504), the user is qualified for thepricing incentive corresponding to the transaction-to-fill ratio (block506). Qualifying the user for the pricing incentive includes, forexample, setting a flag in connection with an identifier associated withthe user in a database and/or with the exchange. The pricing incentivefor meeting the threshold transaction-to-fill ratio is, for example, a0.02% decrease in transaction costs imposed by the exchange. When thegathered data indicates that the user does not have transaction-to-fillratio meeting the threshold (block 504), the user is not qualified forthe pricing incentive.

In the example of FIG. 5, the gathered data includes an averageproximity to an inside market which, as described above in connectionwith FIGS. 4A-4E, represents an area of the market at which ask valuesand bid values intersect, overlap and/or approach each other. Becauseorders placed near the inside market have a greater likelihood of beingfilled, such orders are more beneficial to the marketplace than ordersplaced off market or far away from the inside market. Thus, userstending to place orders at or near the inside market are considered tobe engaged in high quality trading activity. In the example of FIG. 5, apricing incentive is provided for users having an average proximity tothe inside market meeting a threshold. The threshold includes, forexample, a number of price levels from the inside market. When thegathered data indicates that the user has an average (or othermathematical representation of behavior) proximity to the inside marketmeeting the threshold number of pricing levels (block 508), the user isqualified for the pricing incentive corresponding to the inside marketproximity (block 510). Qualifying the user for the inside marketproximity pricing incentive includes, for example, setting a flag inconnection with an identifier associated with the user in a databaseand/or with the exchange. The pricing incentive for meeting thethreshold number of pricing levels is, for examples, a 0.02% reductionin transaction costs imposed by the exchange. When the gathered dataindicates that the user does not meet the threshold (block 508), theuser is not qualified for the pricing incentive.

In the example of FIG. 5, the gathered data includes an average orderduration representative of how long orders placed by the user typicallyremain in the market. An order in the market for one-hundred (100)milliseconds (ms) should be valued more than an order in the market forten (10) ms because the on-hundred (100) ms order has a greaterlikelihood of being matched. Thus, users tending to leave orders in themarket for greater durations are considered to be engaged in highquality trading activity. In the example of FIG. 5, a pricing incentiveis provided for users having average order duration above a thresholdamount of time. In some examples, the threshold amount of time dependson a type of the order and/or a type of the market in which the order isplaced. In such instances, the threshold may be a weighted averageamount of time commensurate with the respective percentages of therespective types of orders and/or markets in the gathered data. When thegathered data indicates that the user has an average order durationmeeting the threshold amount of time (block 512), the user is qualifiedfor the pricing incentive corresponding to the order duration (block514). Qualifying the user for the order duration pricing incentiveincludes, for example, setting a flag in connection with an identifierassociated with the user in a database and/or with the exchange. Thepricing incentive for meeting the order duration is, for examples, a0.04% reduction in transaction costs imposed by the exchange. When thegathered data indicates that the user does not meet the threshold (block512), the user is not qualified for the pricing incentive.

In the example of FIG. 5, the gathered data includes a number of ordersplaced in illiquid markets. In such examples, markets are consideredilliquid based on, for example, volume associated with the market beingbelow a threshold. Orders placed in illiquid markets are consideredbeneficial to the marketplace. For example, an order placed in a thirdcontract of an E-mini should be valued higher than an order placed in afront month of the E-mini. In the example of FIG. 5, a pricing incentiveis provided for users having placed a threshold number of orders inilliquid markets. When the gathered data indicates that the user hasplaced the threshold number of orders in illiquid markets (block 516),the user is qualified for the pricing incentive corresponding to theliquidity measurements (block 518). Qualifying the user for theliquidity pricing incentive includes, for example, setting a flag inconnection with an identifier associated with the user in a databaseand/or with the exchange. The pricing incentive for meeting the illiquidorder threshold is, for examples, a 0.015% reduction in transactioncosts imposed by the exchange. When the gathered data indicates that theuser does not meet the threshold (block 516), the user is not qualifiedfor the pricing incentive.

While blocks 504-518 illustrate example pricing incentives and examplethresholds, additional or alternative pricing incentives and/orthresholds are possible. In the illustrated example, when the user hasqualified for multiple pricing incentives, the corresponding rewards areaggregated to form a total or cumulative reward (block 520). Thecumulative reward includes, for example, a weighted average of theindividual rewards that results in, for example, a discount percentage.With an individual reward or the cumulative reward set for the user, theexample of FIG. 5 applies the reward to orders placed by the user at,for example, the exchange (block 522). In the illustrated example,application of the reward applies equally across all orders placed bythe user while the user is qualified for the reward. In some examples,the reward is applied selectively to, for example, orders meeting one ormore criteria.

In the illustrated example of FIG. 5, application of the reward to theorders placed by the user involves calculating a transaction adjustedvalue that reflects the benefit received via the rewards (block 522).For example, an order for a quantity of ten units of a tradeable objectat $10 per unit has a cost of $100 for the order. Assume that thedefault transaction cost of the order is five percent (5.0%), making thetotal cost of the order $105. Also assume that the user is currentlyqualified for a discount of one percent (1.0%) on the transaction costbased on recent high quality trading activity. The example applicationof the reward in FIG. 5 includes determining that the transaction adjustvalue of the order is $104. This transaction adjusted value is displayedto the user in the form of the total cost, a reduction in transactioncost, and/or any other additional or alternative type of display (block522). Put another way, the example of FIG. 5 includes calculating auser-specific (transaction adjusted) value or cost of a potential tradeand displaying the user-specific value or cost on, for example, atrading interface (as illustrated in FIGS. 7A-7D and discussed below).In some examples, the cost or value of the potential trade with thebenefit of the reward(s) is shown along with the cost or value of thepotential trade without the benefit of the reward(s) to demonstrate thepricing incentive to the user. Additional and alternative displaytechniques are disclosed below.

In the example of FIG. 5, the user is periodically re-evaluatedaccording to, for example, a schedule and/or an amount of tradingactivity. That is, the user may be re-evaluated for the pricingincentives after an elapsed amount of time and/or after a particularamount of trading activity (for example, a number of transactions and/orplaced orders). If the user is not up for re-evaluation (block 524),control passes to block 522 and the qualified reward(s) are applied toorders placed by the user. If the user is up for re-evaluation, controlpasses to block 502 and new trading activity data is gathered.

FIG. 6 illustrates example operations to calculate transaction adjustedvalues differently at different price levels and to present the same tothe user on example trading devices. FIG. 6 is described below inconnection with the example trading interfaces 700A-700D of FIGS. 7A-7D.However, additional or alternative trading interfaces may be implementedin connection with FIG. 6.

In the example of FIG. 6, the user is interacting with a tradinginterface to place or at least analyze a market for a tradeable object(block 600). FIG. 7A illustrates an example trading interface 700A withwhich the user is interacting to analyze the market. The example tradinginterface 700A of FIG. 7A includes a value axis 702 having a valuecolumn 704 corresponding to the value column 404 of FIGS. 4A-4E and afee column 706. In the example of FIG. 7A, the default fees that applyto orders at the different price levels are shown in the fee column 706.The example of FIG. 7A illustrates a mode of the fee column 706 in whichthe fees are displayed without consideration of any reward or penalty.That is, the example of FIG. 7A reflects the fees imposed by theexchange in the absence of any pricing incentives. The example of FIG.7A may be presented when the user initiates an interaction with thetrading interface (for example, by default).

To determine whether the user is entitled to any reward(s), the exampleof FIG. 6 includes an identification of the user by, for example,obtaining an identifier associated with the user (block 602). Using theidentity of the user as a query, for example, the example of FIG. 6obtains reward(s) to which the user is currently entitled (block 604).In the illustrated example, obtaining the reward(s) involves looking upreward data associated with the identified user in a database including,for example, flags indicative of which pricing incentives have beenobtained by the user based on, for example, high quality tradingactivity. In the illustrated example of FIG. 7, the reward(s) are basedon, for example, recent trading activity of the user, as disclosed abovein connection with FIG. 5.

In the example of FIG. 6, different percentages of the reward(s) towhich the user is qualified are applied to the order based on whichprice level is selected. Accordingly, in the example of FIG. 6,different transaction adjusted values are calculated for the differentprice levels (block 606). FIG. 7B includes a trading interface 700Bindicative of example price levels that include full reward application,example price levels that include partial reward application, andexample price levels that include a penalty. In the example of FIG. 7B,the degree of reward application (or penalty) is based on proximity tothe inside market.

At the moment represented in FIG. 7B, the inside market corresponds to afirst group of price levels 708. As indicated in the fee column 706, thereward(s) to which the user is entitled are applied in full (forexample, as a credit having a cash equivalent) for orders placed atthose price levels 708. While the example of FIG. 7B includes a‘+Credit’ indicator, a numeric and/or graphical representation of thetransaction adjusted value calculated at block 606 of FIG. 6 may beincorporated into the appropriate cell of the fee column 706 (block608). At other price levels, the reward(s) to which the user is entitledare only partially applied or eliminated. In the example of FIG. 7B,orders placed at a second group of price levels 710 receive only apercentage of the reward(s) to which the user has qualified. The exampleof FIG. 6, at block 606, has calculated the transaction adjusted valuefor the second group of price levels 710 based on the partialapplication (for example, seventy-fix percent of the cumulative rewardto which the user is qualified). The example of FIG. 7B includes a‘partial credit’ indicator and a ‘fee’ indicator for the second group ofprice levels 710. However, the calculated transaction adjusted value maybe incorporated into the example of FIG. 7B (block 608). At a thirdgroup of price levels 712, the reward(s) for the user has qualifiedis/are eliminated due to a distance away from the inside market (whichcorresponds to the first group of price levels 708 in FIG. 7B). Thus, inthe example of FIG. 7B, orders placed at the third group of price levels712 do not receive the reward(s). The transaction adjusted value in suchinstances is the same as the default transaction value and, thus, arepresentation of the default fees are incorporated into the tradinginterface 700B in the cells corresponding to the third price levels 712in the example of FIG.7B (block 608). At a fourth group of price levels714, penalties are imposed on the user. In the example of FIG. 7B, arepresentation of the transaction adjusted value (for example, anincreased fee) is incorporated into the trading interface 700B in thecells corresponding to the fourth price levels 714.

Thus, the user is presented with the trading interface 700B having thetransaction adjusted value presented in connection with thecorresponding price levels. Accordingly, the user is presented withoptions for purchases the tradeable object, the value of which dependson the price level selected due to the different reward(s) or penaltiesthat will apply to the order. FIG. 7C illustrates an alternative mannerof representing the transaction adjusted value of the different possibleorders in the fee column 706. In particular, the example tradinginterface 700C of FIG. 7C includes specific amounts (rather thandiscount or penalty percentages) that represent the default fee, thereduced fee according to the reward(s), or the increased fee accordingto the penalties. In the example of FIG.7CB, the groups of price levelsare similar to those of FIG. 7B in terms of the inside marketcorresponding to the first group 708 and the other price levelsextending from the first group 708.

Another manner of representing the transaction adjusted values disclosedherein is illustrated in FIG. 7D. In the example of FIG. 7D, the tradinginterface 700D does not include the fee column 706. Rather, theincorporation of the transaction adjusted value of block 608 includessumming the price of the value column 704 and the transaction of the feecolumn 706 to generate a cumulative representation of the transactionadjusted value. As such, the example of FIG. 7D includes a cumulativevalue column 716 in which an asterisk (or other type of highlightingdesignation) is incorporated to represent the alteration of the price.

As described above in connection with FIGS. 4A-4E, an order may beplaced via the trading interface at a selected price level. In theexample of FIG. 6, such a selection is detected (block 610), and theappropriate reward/penalty is applied to the order (block 612). Theorder is then placed at the exchange (block 614). The example of FIG. 6then ends (block 616).

FIG. 8 is a block diagram representative of an example transactionadjusted value module 800 that can implement the example machinereadable instructions of FIGS. 5 and/or 6 and can implement the exampletrading interfaces 700A-700D of FIGS. 7A-7D.

The example transaction adjusted value module 800 of FIG. 8 includes auser identification module 802 to determine an identity of a user. Theexample user identification module 802 assigns and/or obtains anidentifier associated with the user and uses the identifier to trackreward qualifications 804 of the user. In some examples, the rewardqualifications 804 of the user are based on the activity of theindividual user. In some examples, the reward qualifications 804 arebased on a combination of the individual user and at least one otheruser associated with the user (for example, a partner or co-worker at atrading firm).

The example transaction adjusted value module 800 of FIG. 8 includes adata gathering module 806 to obtain information indicative of tradingactivity engaged in by the identifier user. The data gathered by theexample data gathering module 806 of FIG. 8 is representative of tradingactivity, such as details and/or characteristics of orders placed duringthe most recent month or any other suitable period of time and/or amountof trading activity. To characterize the trading activity of the userbased on, for example, the gathered data, the example transactionadjusted value module 800 of FIG. 8 includes a ratio calculation module808, a proximity calculation module 810, a duration calculation module812, and an illiquid order identification module 814. Additional oralternative techniques, statistics and/or measurements of tradingactivity can be used by the example transaction adjusted value module800 of FIG. 8 to determine whether and/or to what degree the user isengaged in high quality trading activity and/or poor quality tradingactivity. The example transaction adjusted value module 800 of FIG. 8includes a plurality of incentive rules 816 including respectivethresholds that are compared with which the characterizing datagenerated by the ratio calculation module 808, the proximity calculationmodule 810, the duration calculation module 812, and the illiquid orderidentification module 814. If the data characterizing the user tradingactivity meets any of the incentive rules 816, the corresponding pricingincentive is tracked in the reward qualifications 804. Further, theexample transaction adjusted value module 800 of FIG. 8 includes aplurality of disincentive rules 818 that may be used to discourage lowquality trading activity.

The example ratio calculation module 808 of FIG. 8 determines a currenttransaction-to-fill ratio of the user. In the illustrated example, thetransaction-to-fill ratio represents a total number of orders divided bytotal number of fills obtained by the user. Thus, a transaction-to-fillratio near a value of one (1.0) indicates that the user is engaged inhigh quality trading activity, while a value much greater than oneindicates that the user is engaged in low quality trading activity. Ifthe transaction-to-file ratio calculated by the example ratiocalculation module 808 meets the corresponding threshold of theincentive rules 816, a flag is set in the reward qualifications 804indicative of the user being qualified for a transaction-to-file ratiopricing incentive.

The example proximity calculation module 810 of FIG. 8 calculates anaverage proximity to an inside market of orders placed by the useraccording to, for example, the data gathered by the example datagathering module 806. As orders placed near the inside market have agreater likelihood of being filled, the example transaction adjustedvalue module 800 of FIG. 8 values users tending to place orders at ornear the inside market. If the average proximity to the inside marketcalculated by the example proximity calculation module 810 meets thecorresponding threshold of the incentive rules 816, a flag is set in thereward qualifications 804 indicative of the user being qualified for aninside market proximity pricing incentive.

The example duration calculation module 812 of FIG. 8 calculates anaverage order duration of orders placed by the user. As orders remainingin the market longer provide more opportunity for opposing users to fillan order, the example transaction adjusted value module 800 of FIG. 8values users tending to leave orders in the market for greaterdurations. If the average duration generated by the example durationcalculation module 812 meets the corresponding threshold of theincentive rules 816, a flag is set in the reward qualifications 804indicative of the user being qualified for an order duration pricingincentive.

The example illiquid order identification module 814 of FIG. 8identifies a number of orders placed in illiquid markets by the user. Assuch orders typically increase available quantity in markets with lowavailable quantity, the example transaction adjusted value module 800 ofFIG. 8 values users placing orders in illiquid markets. If the number oforders placed in illiquid markets by the user meets the correspondingthreshold of the incentive rules 816, a flag is set in the rewardqualifications 804 indicative of the user being qualified for anilliquid market pricing incentive.

While the example reward qualifications 804 are described above asincluding a flag for each pricing incentive, additional detail may beincluded in the example reward qualifications 804. For example, each ofthe reward qualification 804 may include one or more reward amount (forexample, discount percentage) commensurate with pricing incentivesprovided by the corresponding exchange. Different exchanges likelyprovide different pricing incentives and, thus, the example rewardqualifications 804 track the different amounts for the differentexchanges. Further, the example incentive rules 816 of FIG. 8 may varyfrom exchange to exchange and, thus, different threshold comparisons maybe performed for the different exchanges. Accordingly, while the userqualifies for a first pricing incentive with a first exchange, the usermay not qualify for a second pricing incentive with a second exchange.The example reward qualifications 804 and the example incentive rules816 facilitate tracking of the different conclusions of the differentthreshold comparisons to the trading activity characteristics generatedby the example modules 808-814 and/or alternative modules. Further,example reward qualifications 804 of FIG. 8 track a cumulative (forexample, a weighted average) of the rewards for which the userqualifies. As the pricing incentives may vary from exchange to exchange,the example reward qualifications 804 of FIG. 8 track differentcumulative rewards for different exchanges.

The example transaction adjusted value module 800 of FIG. 8 includes areward application module 818 to ensure that reward(s) to which the useris entitled are factored into placed orders. For example, when an orderis entitled to at least one reward, the example reward applicationmodule 818 associates a reward assertion with the order (for example, byappending additional information to one or more message components). Inthe illustrated example of FIG. 8, the example reward application modulereferences price level rules 820 to determine whether only a partialamount of the reward is to be applied. In some examples, the amount ofthe qualified reward is reduced for orders placed far away from theinside market. Alternatively, the reward may be applied equally acrossprice levels.

To facilitate application of the pricing incentives to the orders, theexample reward application module 818 calculates a transaction adjustedvalue for potential orders. The transaction adjusted value for apotential order includes a combination of the cost of the tradeableobject, as well as the corresponding transaction cost, which may beadjusted by the example pricing incentives tracked in the rewardqualifications 804. The example reward application module 818 calculatesthe transaction adjusted value for the different potential trades andfacilitates communication of the same to the user. In the illustratedexample, the reward application module 818 provides the calculatedtransaction adjusted values to a display module 820, which generates,for example, the trading interfaces 700A-700D of FIGS. 7A-7D. Further,the example display module 820 incorporates the transaction adjustedvalues calculated by the reward application module 818 into the tradinginterface. In some examples, one or more user preferences and/orsettings determine the manner in which the transaction adjusted valuesare incorporated into the trading interface. Such settings and/orpreference are tracked by the example display module 820 of FIG. 8. Forexample, whether the incorporation shown in FIG. 7B, 7C or 7D isselectable by the user and the example display module 820 of FIG. 8tracks the selection.

Some of the described figures depict example block diagrams, systems,and/or flow diagrams representative of methods that may be used toimplement all or part of certain embodiments. One or more of thecomponents, elements, blocks, and/or functionality of the example blockdiagrams, systems, and/or flow diagrams may be implemented alone or incombination in hardware, firmware, discrete logic, as a set of computerreadable instructions stored on a tangible computer readable medium,and/or any combinations thereof, for example.

The example block diagrams, systems, and/or flow diagrams may beimplemented using any combination of application specific integratedcircuit(s) (ASIC(s)), programmable logic device(s) (PLD(s)), fieldprogrammable logic device(s) (FPLD(s)), discrete logic, hardware, and/orfirmware, for example. Also, some or all of the example methods may beimplemented manually or in combination with the foregoing techniques,for example.

The example block diagrams, systems, and/or flow diagrams may beperformed using one or more processors, controllers, and/or otherprocessing devices, for example. For example, the examples may beimplemented using coded instructions, for example, computer readableinstructions, stored on a tangible computer readable medium. A tangiblecomputer readable medium may include various types of volatile andnon-volatile storage media, including, for example, random access memory(RAM), read-only memory (ROM), programmable read-only memory (PROM),electrically programmable read-only memory (EPROM), electricallyerasable read-only memory (EEPROM), flash memory, a hard disk drive,optical media, magnetic tape, a file server, any other tangible datastorage device, or any combination thereof. The tangible computerreadable medium is non-transitory.

Further, although the example block diagrams, systems, and/or flowdiagrams are described above with reference to the figures, otherimplementations may be employed. For example, the order of execution ofthe components, elements, blocks, and/or functionality may be changedand/or some of the components, elements, blocks, and/or functionalitydescribed may be changed, eliminated, sub-divided, or combined.Additionally, any or all of the components, elements, blocks, and/orfunctionality may be performed sequentially and/or in parallel by, forexample, separate processing threads, processors, devices, discretelogic, and/or circuits.

While embodiments have been disclosed, various changes may be made andequivalents may be substituted. In addition, many modifications may bemade to adapt a particular situation or material. Therefore, it isintended that the disclosed technology not be limited to the particularembodiments disclosed, but will include all embodiments falling withinthe scope of the appended claims.

1. (canceled)
 2. A system comprising a computer device, wherein thecomputing device comprises a processor and a non-transitory computerreadable medium having stored therein instructions that, when executedby the processor, cause the processor to: display a plurality of pricelevels for a tradeable object along a value axis on a trading graphicaluser interface, wherein the tradeable object is listed on an electronicexchange; determine that a user of the trading graphical user interfacequalifies for a pricing incentive that rewards trading activity meetinga threshold; determine a first plurality of price levels of theplurality of price levels that qualify for the pricing incentive basedon the first plurality of price levels being within a threshold numberof price levels from a current highest bid price or a lowest ask price;determine a second plurality of price levels of the plurality of pricelevels that do not qualify for the pricing incentive based on the secondplurality of price levels not being within the threshold number of pricelevels from the current highest bid price or the lowest ask price; basedon the user qualifying for the pricing incentive, calculate atransaction adjusted value for an order for the tradeable object at eachof the plurality of price levels displayed on the trading graphical userinterface, wherein the pricing incentive is factored into thecalculation of the transaction adjusted value for the first plurality ofprice levels, wherein a transaction value at the first plurality ofprice levels is reduced based on the pricing incentive, and the pricingincentive is not factored into the calculation of the transactionadjusted value of the second plurality of price levels, wherein atransaction value at the second plurality of price levels is not reducedbased on the pricing incentive; display, along the value axis of thegraphical user interface each of the calculated transaction adjustedvalues in relation to the respective price level of the first pluralityof price levels and the second plurality of price levels for which eachtransaction adjusted value was calculated; display an order entry regionon the trading graphical user interface, wherein the order entry regioncomprises a plurality of locations aligned with the value axis, whereineach location of the plurality of locations corresponds to a respectiveprice level of the displayed plurality of price levels along the valueaxis; receive a selection via a user input device of a location of theplurality of locations in the order entry region; and wherein inresponse to receiving the selection of the location in the order entryregion, initiate submission of an order to buy or sell the tradeableobject at the electronic exchange at a price level corresponding to theselected location.
 3. The system of claim 2, wherein the instructions todetermine that the user qualifies for the pricing incentive that rewardstrading activity meeting the threshold comprise instructions todetermine that a transaction-to-fill ratio associated with the usermeets the threshold.
 4. The system of claim 2, wherein the instructionsto determine that the user qualifies for the pricing incentive thatrewards trading activity meeting the threshold comprise instructions todetermine that an order duration associated with the user meets thethreshold.
 5. The system of claim 2, wherein the instructions todetermine that the user qualifies for the pricing incentive that rewardstrading activity meeting the threshold comprise instructions todetermine that a number of orders placed in illiquid markets meets thethreshold.
 6. The system of claim 2, wherein the pricing incentive isapplied to the order when a selection is made from the plurality ofprice levels.
 7. The system of claim 2, wherein the trading graphicaluser interface is a ladder display including pricing levels arrangedinto a column.